Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0090 |
| Annualized Std Dev | 0.1660 |
| Annualized Sharpe (Rf=0%) | -0.0543 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5587.0000 |
| NAs | 1.0000 |
| Minimum | -0.1574 |
| Quartile 1 | -0.0039 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0044 |
| Maximum | 0.1238 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0105 |
| Skewness | -1.6086 |
| Kurtosis | 28.8726 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0079 |
| Gain Deviation | 0.0072 |
| Loss Deviation | 0.0094 |
| Downside Deviation (MAR=210%) | 0.0127 |
| Downside Deviation (Rf=0%) | 0.0079 |
| Downside Deviation (0%) | 0.0079 |
| Maximum Drawdown | 0.5845 |
| Historical VaR (95%) | -0.0143 |
| Historical ES (95%) | -0.0259 |
| Modified VaR (95%) | -0.0154 |
| Modified ES (95%) | -0.0207 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2012-09-17 | 2020-03-18 | NA | -0.5845 | 2141 | 1887 | NA |
| 2005-01-26 | 2008-11-21 | 2012-06-29 | -0.5148 | 1872 | 965 | 907 |
| 1999-02-24 | 2000-01-11 | 2004-03-11 | -0.2571 | 1268 | 224 | 1044 |
| 2004-03-17 | 2004-05-11 | 2004-10-11 | -0.1543 | 144 | 39 | 105 |
| 2004-10-26 | 2004-11-16 | 2004-12-17 | -0.0512 | 38 | 16 | 22 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -0.6 | 0 | -2.1 | 0 | -0.3 | 0 | 0 | 0.4 | -0.4 | 1.1 | -0.4 | -0.7 | -3.1 |
| 2000 | 0.8 | -1.1 | 1.1 | 0.4 | 0.7 | 0.7 | 0.4 | 0 | 0.3 | 0.3 | 0 | 2 | 5.8 |
| 2001 | -0.4 | 0 | 0.2 | 0.9 | 0.1 | 0.5 | 0.1 | -0.2 | 1.4 | 0 | 0.1 | 1.4 | 4.3 |
| 2002 | -0.2 | 0.2 | 0 | 0.8 | 0 | 0.6 | 1.3 | 0.3 | -0.4 | -1.1 | -0.7 | -0.2 | 0.6 |
| 2003 | 0.6 | 0 | 0.6 | 0.4 | 0 | 0.2 | -0.6 | 0.7 | 0.4 | 0.1 | 0.3 | -0.1 | 2.6 |
| 2004 | -0.8 | 0.6 | -0.7 | 2.1 | 0.8 | -0.5 | 0.8 | 0.4 | -0.7 | 0 | 1.2 | 0.4 | 3.3 |
| 2005 | 0.6 | 0.1 | 1.1 | -0.2 | -0.5 | 0.2 | -0.5 | 1 | -0.2 | 0.6 | -0.4 | 0 | 1.9 |
| 2006 | 0.3 | 0.5 | -0.1 | 0.1 | 0 | 0.6 | 0.7 | -0.3 | -0.5 | -0.1 | 0.4 | -0.6 | 1 |
| 2007 | 0.6 | 0.3 | -0.1 | 0.6 | -0.1 | -0.7 | 0.3 | -0.2 | -0.1 | -2 | 0.2 | 0.6 | -0.4 |
| 2008 | 0.6 | -0.1 | 0.6 | 0.5 | -0.6 | 2.6 | 3.1 | 0.7 | 4.1 | -0.1 | -0.2 | 1.9 | 13.8 |
| 2009 | -2 | 1.1 | -0.1 | 0 | 2.6 | 1.7 | -1.9 | 0.3 | 0.7 | -2.1 | 0 | -0.1 | 0.1 |
| 2010 | -0.2 | -1.6 | -0.7 | 0.5 | -0.6 | 0.3 | -0.1 | 0.6 | -0.9 | 0.8 | 0.3 | 1.5 | -0.2 |
| 2011 | 0.9 | 0.2 | 0.1 | 0 | -0.1 | 0.4 | 2.1 | -1 | 1.1 | -1.1 | 0.3 | 0 | 3 |
| 2012 | 0.1 | 0.6 | 1.3 | 0.8 | -0.1 | 1.9 | 1.3 | -0.2 | 0.2 | 1.1 | 1.4 | 3.8 | 13.1 |
| 2013 | 0.3 | -1.3 | 0.3 | 0.1 | -3.2 | 2.1 | -2.1 | 0.1 | 1.4 | 0.2 | 0.5 | 0.3 | -1.5 |
| 2014 | 0.1 | 0.2 | 0.6 | 0.1 | -0.1 | -0.4 | -0.5 | 0.8 | 0.7 | 0.3 | -0.3 | 0.3 | 1.8 |
| 2015 | -0.4 | 0.2 | 1.1 | -0.5 | 0 | 0.9 | 0.3 | -0.5 | -0.8 | 0 | -0.2 | -0.3 | -0.1 |
| 2016 | 0 | 1.2 | 1 | 0.1 | -0.3 | 2.6 | -0.4 | -0.2 | 1 | -0.4 | -1.4 | 0.4 | 3.6 |
| 2017 | 0.4 | 0.7 | 0.7 | 0.3 | 0 | -1.8 | -0.6 | 0.1 | -0.3 | -0.1 | 0.7 | -0.2 | -0.1 |
| 2018 | -0.5 | 0.1 | 0.2 | -0.1 | 0.1 | -0.4 | -0.4 | 0.7 | 0.2 | 0.7 | 0.2 | -0.3 | 0.4 |
| 2019 | -0.7 | -0.3 | 0.8 | 0.9 | -0.2 | 0.5 | 0.9 | -0.2 | 0.5 | -0.2 | 0 | 0.3 | 2.4 |
| 2020 | 0.1 | -5.3 | -3.5 | -1.4 | 0.5 | 1.6 | -0.3 | 1.9 | 2.3 | -0.6 | -0.3 | -0.6 | -5.7 |
| 2021 | 0.1 | 0.7 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
